Measuring and evaluating portfolio performance after taxes: Not so obvious

Journal of Portfolio Management

Volumn 24, Issue 2, 1998, Pages 117-124

  Stein, David M ^a  

^a Parametric Portfolio Associates   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038903658     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.24.2.117     Document Type: Article

References (8)

1. "AIMR Performance Presentation Standards Handbook." Association for Investment Management and Research, Charlottesville, Virginia, 1997.
2. Constantinides, G.M. "Optimal Stock Trading with Personal Taxes." Journal of Financial Economics, 13 (1984), pp. 65-89.
3. Dickson, J.M., and J.B. Shoven. "Ranking Mutual Funds on an After-Tax Basis." Center for Economic Policy Research, Publication No. 344, Stanford University, 1993.
4. Grinold, R.C., and R.N. Kahn. Active Portfolio Management. Burr Ridge, IL: Richard D. Irwin, Inc., 1995.
5. Jacob, N.L. "Taxes, Investment Strategy, and Diversifying Low Basis Stock." Trusts and Estates, May 1995.
6. Jeffrey, R.H., and R. Arnott. "Is Your Alpha Big Enough to Cover its Taxes?" Journal of Portfolio Management, Spring 1993.
7. Poterba, J.M. "Issues in Setting After-Tax Benchmarks and Reporting Portfolio Performance." AIMR presentation February 1997.
8. Siegel, L.B., and D. Montgomery. "Stocks, Bonds, and Bills After Taxes and Inflation." Journal of Portfolio Management, Winter 1995.